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Published in 2018 at "Journal of Futures Markets"
DOI: 10.1002/fut.21912
Abstract: We investigate the impacts of sampling frequency and model specification uncertainty on the outcome of unit root tests, commonly employed as market efficiency tests, using a new, robust Bayesian test on seven commodity futures prices…
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Keywords:
frequency;
futures prices;
commodity futures;
market efficiency ... See more keywords
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Published in 2017 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2017.10.002
Abstract: Abstract This study examines intricate interplay between crude oil, copper and gold futures prices, and market-implied inflation expectations that are proxied by the breakeven inflation derived from the 5-year US Treasury Note yields. We perform…
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Keywords:
market implied;
implied inflation;
prices market;
futures prices ... See more keywords
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Published in 2021 at "Resources Policy"
DOI: 10.1016/j.resourpol.2021.101998
Abstract: Abstract In copper futures trading, ‘contango’ (or ‘forwardation’) is the condition in which the futures price enjoys a premium over the spot price on the London Metal Exchange at the close of the second ring…
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Keywords:
copper;
structure copper;
cointegration structure;
copper futures ... See more keywords
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Published in 2019 at "Journal of Applied Economics"
DOI: 10.1080/15140326.2019.1668664
Abstract: ABSTRACT In this study, we attempt to predict global agricultural commodity futures prices through analysis of multivariate time series. Our motivation is based on the notion that datasets of agricultural commodity futures prices involves a…
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Keywords:
time series;
agricultural commodity;
long short;
futures prices ... See more keywords
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Published in 2019 at "China Agricultural Economic Review"
DOI: 10.1108/caer-11-2018-0224
Abstract: Purpose The purpose of this paper is to investigate the influence of economic policy uncertainty (EPU) on China’s grain futures prices. Related literature has discussed several factors contributing to the dramatic boom and bust in…
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Keywords:
china grain;
grain futures;
uncertainty;
grain ... See more keywords
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Published in 2017 at "Algorithms"
DOI: 10.3390/a10030108
Abstract: Agricultural commodity futures prices play a significant role in the change tendency of these spot prices and the supply–demand relationship of global agricultural product markets. Due to the nonlinear and nonstationary nature of this kind…
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Keywords:
agricultural commodity;
futures prices;
commodity futures;
price forecasting ... See more keywords